DMS Stochastics Seminar: Tianxiao Wang

Time: Sep 27, 2017 (01:00 PM)
Location: Parker Hall 246


Speaker: Tianxiao Wang, Sichuan University

Title: Optimal control theories of stochastic Volterra equations

Abstract: In this talk we will show some recent progress on the optimal control theories of stochastic Volterra integral equations (SVIEs). Unlike the differential systems, Volterra integral systems inherently lose the semi-group property, which makes some basic tools, say, change-of-variable formula, become no longer powerful here. Here we develop new tricks and techniques to treat the stochastic linear quadratic problems, the maximum principles of optimal controls, and other related problems. 

Host: Yongsheng Han